Assuming that you're using Windows: If you are looking for third party software (not built-in), I would recommend BonkEnc.
BonkEnc is a free audio converter and
CD ripper with support for various
popular formats and encoders. It
currently converts between MP3,
MP4/M4A, WMA, Ogg Vorbis, FLAC, AAC,
WAV and Bonk formats.
With BonkEnc you easily rip your audio
CDs to MP3 or WMA files for use with
your hardware player or convert files
that do not play with other audio
software. You can even convert whole
music libraries retaining the folder
and filename structure.
The integrated CD ripper supports the
CDDB/freedb online CD database. It
will automatically query song
information and write it to ID3v2 or
other title information tags.
There's even a portable version.